This thesis aims to study the risk measure Conditional Value-at-Risk and analyse an optimization problem of maximizing expected return subject to this risk measure. The analysis include performing Fourier-Motzkin eliminations on the system of linear constraints of the problem, so that the portfolio is the only remaining decision variable
The objective of this thesis has been the study of risk analysis and optimization under uncertainty....
V delu diplomskega seminarja z naslovom Pogojna tvegana vrednost in optimizacija portfeljev je preds...
The problem of investing money is common to citizens, families and companies. In this chapter, we in...
The work describes conditional value at risk, its robustification with respect to the probability di...
This paper deals with a Portfolio Selection model in which the methodologies of Robust Optimization ...
This paper deals with a portfolio selection model in which the methodologies of robust optimization ...
This paper deals with a portfolio selection model in which the methodologies of robust optimization ...
We discuss a class of risk measures for portfolio optimization with linear loss functions, where the...
In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and L...
This paper deals with a Portfolio Selection model in which the methodologies of Robust Optimization ...
An important aspect in portfolio optimization is the quantification of risk. Variance was the starti...
Several approaches exist to model decision making under risk, where risk can be broadly defined as t...
ABSTRACT Several approaches exist to model decision making under risk, where risk can be broadly def...
This paper presents a bi-objective portfolio model with the expected return as a performance measure...
This paper presents a bi-objective portfolio model with the expected return as a performance measure...
The objective of this thesis has been the study of risk analysis and optimization under uncertainty....
V delu diplomskega seminarja z naslovom Pogojna tvegana vrednost in optimizacija portfeljev je preds...
The problem of investing money is common to citizens, families and companies. In this chapter, we in...
The work describes conditional value at risk, its robustification with respect to the probability di...
This paper deals with a Portfolio Selection model in which the methodologies of Robust Optimization ...
This paper deals with a portfolio selection model in which the methodologies of robust optimization ...
This paper deals with a portfolio selection model in which the methodologies of robust optimization ...
We discuss a class of risk measures for portfolio optimization with linear loss functions, where the...
In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and L...
This paper deals with a Portfolio Selection model in which the methodologies of Robust Optimization ...
An important aspect in portfolio optimization is the quantification of risk. Variance was the starti...
Several approaches exist to model decision making under risk, where risk can be broadly defined as t...
ABSTRACT Several approaches exist to model decision making under risk, where risk can be broadly def...
This paper presents a bi-objective portfolio model with the expected return as a performance measure...
This paper presents a bi-objective portfolio model with the expected return as a performance measure...
The objective of this thesis has been the study of risk analysis and optimization under uncertainty....
V delu diplomskega seminarja z naslovom Pogojna tvegana vrednost in optimizacija portfeljev je preds...
The problem of investing money is common to citizens, families and companies. In this chapter, we in...
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